Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0999
Annualized Std Dev 0.2501
Annualized Sharpe (Rf=0%) 0.3995

Row

Daily Return Statistics

Close
Observations 3273.0000
NAs 1.0000
Minimum -0.1333
Quartile 1 -0.0065
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0078
Maximum 0.1081
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0158
Skewness -0.4743
Kurtosis 8.6372

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0109
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.5686
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0385
Modified VaR (95%) -0.0247
Modified ES (95%) -0.0495
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-06 2010-04-13 -0.5686 464 187 277
2020-01-17 2020-03-23 2020-11-23 -0.4652 216 45 171
2011-04-29 2011-10-03 2013-01-02 -0.2834 422 109 313
2018-08-30 2018-12-24 2019-12-17 -0.2543 327 80 247
2015-06-24 2016-02-11 2016-11-14 -0.2251 353 161 192

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -2.6 2.5 0.9 0.1 -0.1 -1.5 -0.8 -0.8 3.4 -6 4 -1.4
2009 -4.8 -1 0.3 0 3.9 1.5 -0.1 -2.3 -3.6 -3.1 1.8 -1.5 -8.7
2010 1.4 1.8 0.9 -2.3 -3.3 -0.5 0.3 3.4 0 -0.1 2 -0.5 3
2011 1.9 -1.7 0.8 -0.2 -2.1 1.7 -1 -1.6 -2.7 -4 -0.4 -0.2 -9.2
2012 2.4 0.6 -0.1 0.1 -3.1 2.7 -0.9 0.5 -0.6 2.4 0.1 1.6 5.8
2013 0.7 -0.4 -1.3 -1.4 -0.5 0.3 2 -1.6 1.4 0.2 0 0.3 -0.4
2014 -0.6 0.1 0.9 0.3 0 1 -0.4 0.4 -2.3 1.6 -1.4 -0.9 -1.3
2015 -1 -0.7 -0.4 0.8 -0.1 0 0.1 -3.2 -1 0.3 1 -0.7 -4.9
2016 -0.1 1.6 0.3 -0.8 0.6 0.4 -0.9 -0.4 1.2 -0.8 0 -0.8 0.2
2017 0 1.9 0 0.1 1.8 0.1 0.1 0.2 0 -0.2 -0.3 -0.5 3.2
2018 -0.1 -0.5 1.6 0.4 0.7 0 -0.4 -0.2 -0.7 2.4 0.4 0.9 4.7
2019 0.2 0.9 2 -1 -1.7 0.1 -2.8 0.3 -2.1 2 -0.8 0.1 -2.9
2020 -1.9 -1.4 -5 -3.4 1.6 -1.9 -1 0.7 1.3 -1 2.2 0.3 -9.4
2021 2.3 2.5 0.1 NA NA NA NA NA NA NA NA NA 4.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld  ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>  <dbl>    <dbl>
1 2008-02-22  24.8 SPY    136.  0.0062  0.0033    0.0131  -0.0624  -0.0703   0.126     0.608 GLD    93.4 0.0015   0.041 
2 2008-02-26  26.0 SPY    138.  0.0075  0.021     0.04    -0.04    -0.0469   0.158     0.651 GLD    93.7 0.0105   0.0233
3 2008-02-28  25.4 SPY    137. -0.0098  0.0154    0.0071  -0.04    -0.0288   0.127     0.644 GLD    96.0 0.0128   0.0294
4 2008-02-29  24.7 SPY    134. -0.0223 -0.0133   -0.0081  -0.0905  -0.0476   0.109     0.587 GLD    96.2 0.002    0.0299
5 2008-03-05  24.5 SPY    134.  0.0063 -0.0318   -0.029   -0.0938  -0.042    0.104     0.617 GLD    97.7 0.0267   0.031 
6 2008-03-11  23.4 SPY    133.  0.0359 -0.00290  -0.0035  -0.121   -0.0595   0.0961    0.631 GLD    96.0 0.0013   0.0085
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart